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Minimax Risk in Nonparametric Regression

The document derives the minimax risk for nonparametric regression, focusing on the model Y = f(X) + ϵ with f belonging to the Hölder class H(β, L). It identifies two components of risk: approximation error, which decreases with function smoothness, and estimation error, which is influenced by sample size. The minimax risk is expressed as R(n) ∼ n^(-2β+d), emphasizing the roles of smoothness, dimensionality, and sample size in regression performance.

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8 views2 pages

Minimax Risk in Nonparametric Regression

The document derives the minimax risk for nonparametric regression, focusing on the model Y = f(X) + ϵ with f belonging to the Hölder class H(β, L). It identifies two components of risk: approximation error, which decreases with function smoothness, and estimation error, which is influenced by sample size. The minimax risk is expressed as R(n) ∼ n^(-2β+d), emphasizing the roles of smoothness, dimensionality, and sample size in regression performance.

Uploaded by

chenyongsheng805
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© All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Derivation of the Minimax Risk for Nonparametric Regression

1. Problem Setup and Assumptions


We consider the nonparametric regression model:

Y = f (X) + ϵ,

where:
• X ∈ [0, 1]d : The input variable, distributed in the d-dimensional unit cube;
• f ∈ H(β, L): The target function f belongs to the Hölder class H(β, L), with smoothness β > 0
and constant L > 0;

• ϵ: Noise, independently and identically distributed, satisfying E[ϵ] = 0 and Var(ϵ) < ∞;
• n: The number of observed samples.
The goal is to find an estimator fˆ that minimizes the mean squared error:

R(n) = inf sup E∥fˆ − f ∥22 ,


fˆ f ∈H(β,L)

where Z
∥fˆ − f ∥22 = |fˆ(x) − f (x)|2 dx.
[0,1]d

2. Components of the Risk


The estimation risk R(n) consists of two parts:

1. Approximation Error: This is determined by the smoothness of f . Approximation error de-


creases as f becomes smoother.
2. Estimation Error: This depends on the sample size n. Limited samples reduce the accuracy of
the estimate.

3. Hölder Class Smoothness


The Hölder class H(β, L) is defined as: A function f ∈ H(β, L) if there exists a constant L > 0 such
that for any x, y ∈ [0, 1]d :
|f (x) − f (y)| ≤ L∥x − y∥β ,
where β represents the smoothness of the function.

4. Total Error Expression


Assume f is approximated by partitioning the domain into small regions of width h > 0. Then:
1. Approximation error:
Approximation Error ∼ hβ ,
determined by the Hölder condition.

1
2. Estimation error: Each region contains approximately nhd samples. The estimation error is:
1
Estimation Error ∼ √ .
nhd

The total error is the sum of the two:


1
Total Error ∼ hβ + √ .
nhd

5. Optimal Bandwidth
To minimize the total error, differentiate with respect to h:
 
∂ 1 d 1 d
hβ + √ = βhβ−1 − · √ h− 2 −1 .
∂h nh d 2 n

Setting this derivative to zero gives the optimal bandwidth:


1
h ∼ n− 2β+d .

6. Minimax Risk
Substituting the optimal bandwidth into the total error, the minimax risk is:
2β
R(n) ∼ n− 2β+d .

7. Intuition
• Smoothness β: Larger β indicates smoother functions, reducing approximation error and leading
to faster risk decay. For β → ∞, the risk is dominated by estimation error.
• Dimension d: Higher d increases data sparsity, which worsens estimation error, leading to slower
risk decay (the ”curse of dimensionality”).
• Sample size n: Larger n reduces estimation error, thereby lowering the total risk.

8. Conclusion
2β
The minimax risk R(n) ∼ n− 2β+d in nonparametric regression is derived by balancing approximation
and estimation errors. The result highlights the impact of smoothness, dimension, and sample size on
nonparametric regression performance and is a cornerstone of statistical learning theory.

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